Rather than purchasing all 11 million shares of his stake outright, Icahn bought calls at a fraction of the cost. Those options lock in his purchase price of the stock no matter how high it may rise. And if Herbalife shares tank, he will lose only the premium he paid for those calls, rather than the full price he would have paid to purchase the stock directly.

Not only did Icahn use calls in his option strategy, but he also sold puts — another sign of his bullishness. The credit from that put sale helped finance the cost of the calls, and those puts will lose value as shares rise.

Icahn bought calls on 8,311,738 shares, contracts that expire on Jan. 28, 2015. The exercise price of these options is $26. (It is important to note that these are American-style options, which can be exercised at any time up until expiration.)

He also bought American-style calls on 3,230,606 shares, which expire on May 10 this year. The exercise price of these calls is $23.50.

Icahn then sold European-style puts of corresponding expirations and size. European options can be exercised only upon expiration or the date at which the corresponding American calls described are exercised.

Herbalife stock is trading above $41 today, up more than 7 percent on the session. The stock hit a 52-week low of $24.24 on Christmas Eve.

Can you imagine what Icahn's rate of return will be if shares go even higher? And how much his adversary, Bill Ackman, might lose on his massive short position on the other side of the trade?

I've said it before, and I'll say it again: This is Wall Street bloodsport at its best.